and the user clicks on the link the file is downloaded to the local drive.
From wich the user can open it. They are now working on the local copy not the centrally managed document.

But On windows it actually opens up in Excel and the user can then Check out the file and work on it, Check it in etc.

How can I configure a Mac and Sharepoint so that referenec files are opened in the client app. I would have thought that I'd be able to specifiy the MIME application in the browser but my Mac guy does not seem to think that this will help.

Voted up but (as you note) there are limitations. The inability of Microsoft Document Connection to copy or move a folder from OS X may be most disappointing to users who are accustomed to working with folders, so I'd prefer file system integration.
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Graham PerrinSep 30 '12 at 18:21

Of those three: system-managed connections should be ideal, but Microsoft's design of SharePoint (the file name restrictions) makes the service not work with file system integration for Microsoft Office apps. So begin by easing the restrictions in SharePoint.